Explicit solutions to some optimal variance stopping problems

DOI10.1080/17442508.2010.529142zbMath1249.62006OpenAlexW1997306380MaRDI QIDQ3108377

Jesper Lund Pedersen

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.529142

zbMATH Keywords

geometric Brownian motionvariance criterionsquare-root processJacobi diffusionquadratic optimal stoppingvariance stopping for a given mean

Mathematics Subject Classification ID

Quadratic programming (90C20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

Related Items (10)

Constrained maximum variance stopping for a finite horizon increasing random walk ⋮ Time-inconsistent mean-field optimal stopping: a limit approach ⋮ Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index ⋮ Optimal variance stopping with linear diffusions ⋮ Dynamic optimality in optimal variance stopping problems ⋮ A remark on optimal variance stopping problems ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application ⋮ Variance Optimal Stopping for Geometric Lévy Processes ⋮ Optimal mean-variance selling strategies

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mean-variance hedging in continuous time
• An interest rate model with upper and lower bounds
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• A Theory of the Term Structure of Interest Rates
• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

This page was built for publication: Explicit solutions to some optimal variance stopping problems